Protestant version of Purgatory is Pre-trib Rapture
Both purgatory and pre-rapturism are 2nd chance for salvation, heresies. Just as the Roman Catholic church teaches purgatory is a place where an unsaved though not necessarily damned person will go to ‘suffer as a penitent’ for sins, so does the rapture teaching allow someone to be left behind and through great tribulation up to and including beheading, will escape damnation.